A Multidimensional CLT for Maxima of Normed Sums
Hagwood, Charles ; Teicher, Henry
Ann. Probab., Tome 11 (1983) no. 4, p. 1048-1050 / Harvested from Project Euclid
It is shown that if $S_{k,j} = \sum^k_{i = 1} X_{ij}, 1 \leq j \leq d, k \geq 1$ where $(X_{i1}, \cdots, X_{id}), i \geq 1$ are i.i.d. random vectors with positive mean vector $(\mu_1, \cdots, \mu_d)$ and finite covariance matrix $\Sigma$, then for any choice of $\alpha_j$ in $\lbrack 0, 1), 1 \leq j \leq d$ the random vector whose $j$th component is $n^{\alpha_j - 1/2} (\max_{1 \leq k \leq n}S_{k,j}/k^{\alpha_j} - \mu_jn^{1 - \alpha_j})$ converges in law to a multinormal distribution with mean vector zero and covariance matrix $\Sigma$, thereby extending a result of Teicher when $d = 1$.
Publié le : 1983-11-14
Classification:  Multivariate CLT,  maxima of normed sums,  stopping rules,  60F05,  60K05
@article{1176993454,
     author = {Hagwood, Charles and Teicher, Henry},
     title = {A Multidimensional CLT for Maxima of Normed Sums},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 1048-1050},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993454}
}
Hagwood, Charles; Teicher, Henry. A Multidimensional CLT for Maxima of Normed Sums. Ann. Probab., Tome 11 (1983) no. 4, pp.  1048-1050. http://gdmltest.u-ga.fr/item/1176993454/